When an asset is completely liquid, an investor can realize his desirable strategy. But when the asset is not sufficiently liquid, the investor cannot trade the asset continuously and his strategy is restricted. He has to consider the risk of the failure of the trade. In this paper a risky asset is traded at the random times and an investor has a power utility function. In this situation we sol...

Smart contracts - computer protocols that regulate the exchange of crypto-assets in trustless environments have become popular with spread blockchain technologies. A landmark security property smart is liquidity: a non-liquid contract, it may happen some assets remain frozen, i.e. not redeemable by anyone. The relevance this issue witnessed recent liquidity attacks to Ethereum, which frozen hun...

We present a model incorporating both social and economic components, and analyze their interaction. The notion of a social asset, an attribute that has value only because of the social institutions governing society, is introduced. In the basic model, agents match on the basis of income and unproductive attributes. An attribute has value in some equilibrium social institutions (matching patter...

A bank as a business units needs to have liquid assets which can be easily converted into cash at short notice. Thus the concept of liquidity risk management is important for any commercial banks. The impact of liquidity position in management of banks have remained significant, though very elusive in the process of investment analysis vis-à-vis bank portfolio management. In addition, liquidity...

• We study the impact of Fed’s three rounds QE on bank liquidity creation. Banks create by financing illiquid assets with liquid liabilities. use a sample US banks over 2006-14 and difference-in-difference methodology. more exposed to increased lending during first third round QE. Liquidity creation among treated was higher only last effects Federal Reserve’s large-scale asset purchase programs...

An agent can invest in a high—yield bond and a low—yield bond, holding either long or short positions in either asset. Any movement of money between these two assets incurs a transaction cost proportional to the size of the transaction. The low—yield bond is liquid in the sense that wealth invested in this bond can be consumed directly without a transaction cost; wealth invested in the high—yie...

We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (asmodeled via expected utility), as well as views of the world or the market model (as modeled via subjective probabilities) are considered. Simple sufficient conditions are given for...

This paper studies the impact of geographic banking deregulation on the effectiveness of monetary policy. State-level removal of restrictions on interstate banking strengthened the effect of monetary policy on bank lending. This effect was driven by small banks affiliated with bank holding companies. Following interstate deregulation affiliated banks reallocate assets towards securities and awa...

This paper presents a perfect foresight model of speculative attacks on emerging markets. Credit constrained governments are assumed to have two objectives: to accumulate liquid assets in order to self-insure against shocks to national consumption and to insure poorly regulated domestic ®nancial markets. This policy regime generates endogenous ®scal de®cits de®ned to include the growth of conti...

This paper investigates the link between the optimal level of non-financial firms’ liquid assets and industry-level uncertainty. We develop a structural model of a firm’s value maximization problem that predicts that as industry-level uncertainty increases the firm will increase its optimal level of liquidity. We test this hypothesis using a panel of German firms drawn from the Bundesbank’s bal...